General financial market model defined by a liquidation value process

DOI10.1080/17442508.2015.1086348zbMath1338.91166OpenAlexW4392476888MaRDI QIDQ2804555

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Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://hal.science/hal-01103072

zbMATH Keywords

hedgingAmerican optionstransaction costspartial orderfinancial marketsEuropean optionsliquidation value process

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (6)

Arbitrage theory for non convex financial market models ⋮ A Complement to the Grigoriev Theorem for the Kabanov Model ⋮ Dynamic programming principle and computable prices in financial market models with transaction costs ⋮ Unnamed Item ⋮ Fundamental theorem of asset pricing under fixed and proportional transaction costs ⋮ Random optimization on random sets

Cites Work

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• A super-replication theorem in Kabanov's model of transaction costs
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• Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs
• Hedging and liquidation under transaction costs in currency markets
• Martingales and arbitage in securities markets with transaction costs
• No-arbitrage of second kind in countable markets with proportional transaction costs
• Hedging of American options under transaction costs
• On the multi-utility representation of preference relations
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Hedging of Claims with Physical Delivery under Convex Transaction Costs
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
• Arbitrage and viability in securities markets with fixed trading costs

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